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FACTOR & STRATEGY INDICES

STOXX USA 900 Ax Low Risk

Index Description

STOXX single and multi-factor indices aim to harvest the risk premia of several academically validated style factors - Value, Momentum, Quality, Size and Low Risk. At the same time the rules ensure tradability and diversification as well as limit untargeted systematic exposures. STOXX uses Axioma's risk model and optimizer to construct the factor indices. The STOXX single and multi-factor indices are based on the respective STOXX country or regional benchmark indices.

Key facts

  • Invest in targeted factor exposures with managed liquidity and risk profiles across various regions
  • Use of Axioma's factor risk models and portfolio construction expertise to define the factors based on extensive validation from research and having a clear economic rationale
  • Factor family consists of 5 single factor indices (Value, Momentum, Quality, Low Risk, and Size) and one multi-factor index
  • Same index construction rules applied across the factor family
  • Single factor indices maximize the target factor while constraining the exposure to other factors
  • Multi-factor index employs a bottom-up approach by maximizing the exposure to an equally weighted aggregated multi-factor score
  • Ensures tradability by managing turnover and exposure to illiquid positions
  • Ensures diversification using country and industry controls

Descriptive Statistics

Index Market Cap (EUR bn) Components (EUR bn) Component weight (%) Turnover (%)
Full Free-float Mean Median Largest Smallest Largest Smallest Last 12 monts
STOXX USA 900 Ax Low Risk N/A 101.2 1.5 0.7 8.3 0.0 8.2 0.0 49.8
STOXX USA 900 45,919.0 44,044.5 48.9 14.2 2,842.1 2.2 6.5 0.0 2.8

Supersector weighting (top 10)

Country weighting

Risk and return figures1

Index returns Return (%) Annualized return (%)
Last month YTD 1Y 3Y 5Y Last month YTD 1Y 3Y 5Y
STOXX USA 900 Ax Low Risk 2.3 9.1 18.9 38.2 66.4 N/A N/A 19.0 11.4 10.8
STOXX USA 900 3.1 12.5 25.9 42.8 108.8 N/A N/A 26.3 12.7 16.1
Index volatility and risk Annualized volatility (%) Annualized Sharpe ratio2
STOXX USA 900 Ax Low Risk N/A N/A 10.0 14.9 19.3 N/A N/A 1.4 0.6 0.5
STOXX USA 900 N/A N/A 11.9 17.7 21.9 N/A N/A 1.6 0.6 0.6
Index to benchmark Correlation Tracking error (%)
STOXX USA 900 Ax Low Risk 0.6 0.9 0.9 0.9 1.0 6.4 5.8 5.2 5.9 6.3
Index to benchmark Beta Annualized information ratio
STOXX USA 900 Ax Low Risk 0.5 0.7 0.8 0.8 0.9 -1.6 -1.4 -1.2 -0.3 -0.9

1For information on data calculation, please refer to STOXX calculation reference guide

2Based on EURIBOR1M

(EUR, Gross Return), all data as of May 31, 2024

FACTOR & STRATEGY INDICES

STOXX USA 900 Ax Low Risk

Fundamentals

Index Price/earnings incl. negative Price/earnings excl. negative Price/book Dividend yield (%)3 Price/sales Price/cash flow
Trailing Projected Trailing Projected Trailing Trailing Trailing
STOXX USA 900 Ax Low Risk 22.2 21.3 22.1 22.1 5.1 2.1 3.2 23.3
STOXX USA 900 28.1 22.1 25.6 25.6 4.7 1.9 2.7 25.4

Performance and annual returns